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Part I
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Market Risk
Market Risk
Easy
Which of the following is a key advantage of Expected Shortfall (ES) over Value at Risk (VaR) as a risk measure?
A
ES captures the magnitude of losses beyond the VaR threshold, providing information about tail risk that VaR ignores
B
ES is easier to compute than VaR for all portfolio types
C
ES always produces a lower risk estimate than VaR
D
ES does not require any assumptions about the return distribution
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Tags
#expected-shortfall
#cvar
#var
#tail-risk
#risk-measures
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